Headache is one of the most prevalent, although often underreported, symptoms of coronavirus disease 2019 (COVID-19). It is generally accepted that this symptom is a form of secondary headache due to systemic viral infection. There are several hypotheses that try to explain its aetiopathogenesis. One of the most compelling is related to innate immune response to viral infection. This rationale is supported by similarities to other viral infections and the temporal overlap between immunological reactions and headache. Moreover, several key factors in innate immunity have been shown to facilitate headache e.g. interferons, interleukin (IL) -1-β, IL-6, and tumour necrosis factor. There is also a possibility that the virus causes headache by the direct activation of afferents through pattern recognition receptors (i.e. Toll-like receptor 7). Moreover, some data on post COVID-19 headache and after vaccination against SARS-CoV-2 infection suggests a similar cytokine-mediated pathomechanism in these clinical situations. Future research should look for evidence of causality between particular immune response factors and headache. Identifying key molecules responsible for headache during acute viral infection would be an important step towards managing one of the most prevalent secondary headache disorders.